Can't select individual hair particle in particle edit mode
As far as I know, you cannot select single hairs. Instead you use the brushes on the toolshelve (left) to refine your particle hair. The reason is that your particle hair is no actual geometry, but a field that generates geometry on the fly.

(edit:)
HOWEVER you can select the handles (called keys) of a strand.

On the bottom of the 3d-Viewport there is the header. In editmode you'd find edge-selection mode and face-selection-mode on it. In the very same place you'll see three types of strands: blank, riddled with points, and points on the tips. select the secon option and you're on. you can then select the points (called KEYS) by "rmb" and linked strands by "L", just the way you do with vertices on meshs. Be aware that these keys are handles and not vertices. You can remove keys or strands.